Please, tell me your thoughts about it. However I can't handle the 100 points loss. Can't upload the excel file so here is a screenshot. Actually it's not commission adjusted ... Uhu
Would be great to "Optimize" some strategy as a contest. Here is a simple strategy that buy (sell) the open and sell (buy) at the close. It's kind of couterintuitive. Actually you sell the next day if it close above the average 5 highs. And buy the next day it it closes below the average 5 lows. If between, keep your last signal.
The ATR ? I've got an intuition, But haven't checked yet. It's great to fade when ATR is high. Otherwise it's better to go with the Brkout. On what TF do you trade your strategy ? I've tried to limit losses but it's worse.
Where does it exactly beat the S&P 500...those two lines are about the same at the right side so buy and hold would earn you more when commissions and taxes factored in.
The S&P starts at 950. The strategy starts at 0. So the S&P returned 1000 points. And the strategy returned 2000 points. Or 1500 points if we deduce coms. So it beats the S&P by < 50%. Tax ? I would pay no tax.
Ok I shorted one contract of ES at 2060 and covered when ES went to 2050. My portfolio went from 0 to 10 points while ES went from 2060 to 2050. Therefore ES outperformed my strategy by 2040 points. That is what you sound like...
Gonna try the strategy with weekly / Monthly data. Then trade it with options to reduce downside. I'd like to test directly with option data. However I don't know how to do. Cause there is more to options.
No it's not how it work. In this case it's -10 vs 10. So you outperformed the ES. On that day only. It's no BS. Is it ?